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一、 Optimization Problem
The normal optimization problem is
min x f ( x ) \min_{x} f(x) xminf(x)
where the x x x is optimization variance. By optimizing x x x, the function f ( x ) f(x) f(x) can be minimized.
Actually, x x x need to be constrained by equations or inequations, such as,
1 ) s u b j e c t t o A x = b , o r 1) \ subject \ to \ {A}x=b, \ or 1) subject to Ax=b, or 2 ) s u b j e c t t o A x ≤ b 2) \ subject \ to \ {A}x \leq b 2) subject to Ax≤b
Thus, the optimization problem usually can be written as
二、 Which problem can be solved by ADMM?
Optimization problems:
min x f ( x ) + g ( z ) A x + B z = c \begin{array}{cc} \min_{x} f(x) +g(z) \\ Ax + Bz = c \end{array} minxf(x)+g(z)Ax+Bz=c
ADMM algorithm usually solves optimization problems limited by equations which usually has two optimization variables.
三、 Dual Method
Dual method is the most related strategy about ADMM.
Dual method can couple/combine the minimize problem and the subject condictions by using a coupling variable λ \lambda